Exchange Rates and the Conversion of Currency‐Specific Risk Premia
利用国际随机贴现因子框架，分析资产价格与汇率的相互作用，发现汇率用于转换货币特定的贴现因子和风险价格，并通过四国股票市场数据验证了汇率对货币特定风险溢价的转换作用。
Abstract How do the risk factors that drive asset prices influence exchange rates? Are the parameters of asset price processes relevant for specifying exchange rate processes? Most international asset pricing models focus on the analysis of asset returns given exchange rate processes. Little work has been done on the analysis of exchange rates dependent on asset returns. This paper uses an international stochastic discount factor (SDF) framework to analyse the interplay between asset prices and exchange rates. So far, this approach has only been implemented in international term structure models. We find that exchange rates serve to convert currency‐specific discount factors and currency‐specific prices of risk – a result linked to the international arbitrage pricing theory (IAPT). Our empirical investigation of exchange rates and stock markets of four countries presents evidence for the conversion of currency‐specific risk premia by exchange rates.